Sympathy for the devil, the live version from get your ya ya's out. Too many by Neil Young but the Weld album is a good place to start as I think he's better when he's live. Marc Ford when he was with the Black Crowes. Pretty much anything from the second album but Wiser Time from Amorica is my favourite. Can't beat a bit of slide.

UFO - 'Love to Love' from Strangers in the Night
Anything by Zakk Wylde/Black Label Society
Van Halen - 'I'm the one' from the first album - supposedly Eddie throwing the whole kitchen sink into one solo

Allman Brothers - In Memory of Elizabeth Reed from the Filmore Concerts cd.

People have already mentioned them but Sorrow and Comfortably Numb from Delicate Sound of Thunder are stunning.

Also, for sheer mind-blowingness Stevie Ray Vaughan - Rude Mood.
Pretty much anything played by Randy Rhoads but in particular from the live Tribute album: Mister Crowley; Children of the Grave; Revelation (Mother Earth)